资源科学 ›› 2018, Vol. 40 ›› Issue (3): 634-644.doi: 10.18402/resci.2018.03.17

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国际期铜价格波动中的金融因素分析

程慧1,3(), 徐琼1, 郭尧琦2,3(), 陈伟勋2   

  1. 1. 湖南师范大学旅游学院,长沙 410081
    2. 中南大学数学与统计学院,长沙 410083
    3. 中南大学金属资源战略研究院,长沙 410083
  • 收稿日期:2017-08-31 修回日期:2018-02-07 出版日期:2018-03-10 发布日期:2018-03-10
  • 作者简介:

    作者简介:程慧,女,贵州都匀人,博士,讲师,硕士生导师,主要研究方向为资源经济与管理。E-mail:chenghui326@qq.com

  • 基金资助:
    国家自然科学基金项目(71403298);教育部人文社会科学基金项目(15YJCZH019);教育部人文社会科学基金项目(14YJCZH045)

Financial factors in international copper futures price volatility

Hui CHENG1,3(), Qiong XU1, Yaoqi GUO2,3(), Weixun CHEN2   

  1. 1. College of Tourism, Hunan Normal University, Changsha 410081, China
    2. School of Mathematics and Statistics, Central South University, Changsha 410083, China
    3. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China
  • Received:2017-08-31 Revised:2018-02-07 Online:2018-03-10 Published:2018-03-10

摘要:

近年来,以期货市场为定价基础的金属价格呈现频繁而剧烈的波动,直接影响中国工业经济系统的稳定。而金融属性凸显被认为是国际铜价短期剧烈波动的主要原因。在这一背景下,从金融化视角出发探究金融因素是否影响国际期铜价格的波动,对维护中国工业系统稳定运行和保障国家资源安全具有重要意义。本文首先基于ICSS方法将2000—2014年LME期铜价格分为七个阶段,继而采用PLS方法实证检验了六种主要金融因素在不同阶段内对国际期铜价格波动的影响。研究发现,美元指数对期铜价格波动的解释力最大;黄金价格在铜价“大幅上涨”时期对铜价变化的解释作用最强,但反映的是市场对美元价值变化的信息;标准普尔500指数对期铜价格上涨具有明显支撑作用,反映出国际期铜市场金融化特征明显;投机行为虽在一定程度上导致期铜价格剧烈波动,但并未改变期货市场内在功能的发挥。基于以上结论,本文建议可借力人民币国际化抑制美元计价影响;应构建矿业金融战略体系,防范过度金融化下的价格波动风险;需理性对待投机,防范价格异常波动。

关键词: 期铜, 价格波动, 金融因素, 偏最小二乘

Abstract:

In recent years, the prices of metals based on the future market have frequently and drastically fluctuated, directly affecting the stability of China’s industrial economic system. Financial attributes are considered the main reason for drastic fluctuations in international copper prices in the short term. Under this background, exploring whether financial factors affect the volatility of international copper prices from the perspective of financialization is of great significance to safeguarding the stable operation of China's industrial system and national resource security. We divided LME copper prices from 2000 to 2014 into seven stages based on the ICSS method, and used the PLS method to test the impact of six major financial factors on international copper price fluctuations at different stages. We found that the dollar index has the largest explanatory power over fluctuation of copper prices. The explanation for the change in the price of copper is strongest for the price of gold in the period when the price of copper rises sharply, but it reflects market information in the change in the value of the dollar. The S&P500 Index for copper prices has an obvious supportive role, reflecting the financialization characteristic of international copper markets. At a certain level, speculative behavior leads to dramatic fluctuations in international copper prices, but does not change the intrinsic function of the futures market. We suggest that internationalization of the Chinese Yuan should be used to restrain the impact of the US Dollar; a mining financial strategy should be constructed to prevent the risk of price volatility under over-financialization; and speculation should be treated rationally to prevent abnormal fluctuation.

Key words: copper futures, price volatility, financial factors, partial least-squares regression